Yes, steppers get hot and depending on the drive used may or may not whistle. How hot yours are I dont know as I dont know how hot a $2 pistol gets
Reducing the max current a stepper can get from a drive will reduce the heat but it will also reduce the available torque, it is a bad idea to feed a stepper more than its rated current so if you are doing that it will be where the heat is coming from.
You have also found the bad thing about steppers, the faster you go the less torque you get and it can drop off very rapidly. Steppers can and do work very well as long as they are sized to the load and you dont want fast acceleration and blazing rapids, if you want these then get servos but again you need to size the servos correctly for your load or you will constantly get the drives tripping with overcurrent or following errors.
Hood